Modifying existing animations?

The length of the animation timeline in Max before exporting should be equal to the length of your animation. And, by the way, 60 frames might be too much. Now, regarding a completely new animation. Can I be frank? You need to put in a lot of effort to create something with just the skeleton that doesn't look completely awful. And this is an even more challenging task than creating the original animations because the skeleton is slightly distorted after import and lacks control elements. Plus, you chose to animate a horse, not a human, which is even more difficult. But, on the other hand, this really develops useful skills that could theoretically lead to a job in the future. And it would be great if there was someone among the modders for the 5th game who could create animations. (The source and the mixamo are not considered here). If you decide to pursue this path, here's a big piece of advice: research what programs are currently used for creating animations. Practice shows that doing everything in Max is not efficient. For example, they now sculpt in ZBrush. Many use UVLayout for unwrapping. Textures are painted in Substance Painter. Not because you can't do all of this in Max, but because it's faster and more convenient in these programs. As for animation, I haven't worked with it much. When people talk about animation, they usually think of Maya (it's rational to use the latest version, not 6.0). But I remember seeing some program a long time ago that was very convenient for creating procedural animation. I don't remember its name, but I remember being impressed by its functionality and simplicity. I'm sure that this program or its analogue is now widely used in the industry. Search for it, and you'll find something more convenient than Max, and there will definitely be a lot of tutorials and other resources available.

Added 3 minutes later
Or, as an alternative, if you don't want to delve into all of this, look for a way to import animations from the 5th game properly. If you have the original animations, you can easily edit and combine them. I haven't found such a method yet. But it definitely exists because I used to do it that way. I tried importing into Max 7 using a plugin from the source archive the other day. The result is the same as yours: only the first frame of the animation is imported. You need to try other versions of Max and, if possible, find other plugins for GR2. One of these combinations will definitely work.